On the Rate of Convergence of Finite-difference Approximations for Bellman Equations with Lipschitz Coefficients
نویسنده
چکیده
We consider parabolic Bellman equations with Lipschitz coefficients. Error bounds of order h for certain types of finite-difference schemes are obtained.
منابع مشابه
On the rate of convergence of finite-difference approximations for normalized Bellman equations with Lipschitz coefficients
A class stochastic optimal control problems containing optimal stopping of controlled diffusion process is considered. The numerical solutions of the corresponding normalized Bellman equations are investigated. Methods of [Kry04] are adapted. The rate of convergence of appropriate finite difference difference schemes is estimated.
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